Introduction: GPU and X-Valuation Adjustment

Scientific Computing on GPU’s

The Graphics Processing Unit or GPU is used more and more for Scientific Computing. For relatively low costs one can obtain supercomputer performance. However, some work must be done to make an ordinary program suitable for use on the GPU. One of the important tools is the development of CUDA (Compute Unified Device Architecture). This is an extension of the C programming language, which can be used to program the GPU in an easy way. Furthermore, in many cases algorithms must be adapted to make them suitable for GPU computing. Finally, optimization of the algorithm, implementation and use of the hierarchy of the GPU is needed to obtain high speed-ups.

XVA calculations for derivatives portfolios

X-Valuation Adjustment is a collective term referring to several different “valuation adjustments” that banks must make when assessing the value of derivative positions that they have entered. These kinds of calculations are computationally intensive: we require a consultant that has affinity with modelling to simulate many economic scenarios and evaluate the potential loss on a portfolio of derivative positions in each scenario.

The purpose of these calculations is twofold: primarily to hedge for possible losses due to other parties’ failures to pay amounts due on the derivative contracts; but also, to determine (and hedge) the amount of capital required under the bank capital adequacy rules. XVA has led to the creation of specialized desks in many banking institutions to manage XVA exposures.

Purpose of the role

In cooperation with our Client, a large international bank located in the Netherlands, we are looking for a Consultant with CUDA programming skills to work on the implementation of XVA calculations as part of their Quant team in Amsterdam. You will be contribute to the maintenance and development of the in-house GPU based system for XVA calculations.

Key responsibilities

  • Deliver high quality code that enables implementation of complex numerical procedures on the GPU.
  • At the beginning of the project, you are requested to update existing code to new CUDA versions and to further optimize the CUDA code base for robustness and speed.
  • Facilitate ongoing implementation of requirements due to regulatory (FRTB) and market structure change (Interest Benchmark reform).
  • Stakeholder management.

Functional work area

Quantitative Modelling / Data Science / Research & Development

Hours per week

36 – 40

What do we offer

  • A competitive salary including great benefits and perks.
  • Opportunity to participate in inspiring and challenging projects with a diversity of clients in the financial industry.
  • Great training opportunities and on-the-job guidance and training.
  • Possibility to enrol for certification examinations (e.g. FRM or CFA).
  • Working closely together with young, enthusiastic team consisting of quantitative specialists.
    Requirements

Applicant characteristics

Recently graduated PhD or MSc graduates on short term with relevant experience in field, like computer science, econometrics, mathematics, or physics is a must
The preferred candidate is flexible, proactive and has a positive attitude. Furthermore, ability to work independently, follow procedures and pay careful attention to detail in a fast paced, fluid international environment.
Strong affinity with Quantitative Models and Data.
Finance knowledge and/or experience not required but nice-to-have.

Competencies

CUDA specialist with additional knowledge and/or experience in numerical techniques is a must. Experience in advanced programming language (e.g., C++, C# or Python) and interested to work with large datasets.

Required language skills

Well versed in English.

How to apply

Interested and ready for a challenging and promising period? Send your Curriculum Vitae to us! In case of any questions regarding this vacancy do not hesitate to contact Sabine Bergsma (s.bergsma@vbadvisory.nl) or send your contact person information and motivation letter to recruitment@vbadvisory.nl.

Questions about this vacancy?

Ask our Talent & Development team.

  recruitment@vbadvisory.nl

  + 31 20 210 13 16